Common Stocks and Inflation: An Empirical Analysis of G7 and BRICS
In an attempt to understand the relationship between stock returns and inflation, this study proposes testing the Fisher effect in two groups of countries, the G7 (Canada, France, Germany, Italy, Japan, United Kingdom and the United States) group of low inflation industrialized countries and the BRI...
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| Veröffentlicht in: | Atlantic economic journal 2017-06, Vol.45 (2), p.213-224 |
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| creator | Ibn Boamah, Mustapha |
| description | In an attempt to understand the relationship between stock returns and inflation, this study proposes testing the Fisher effect in two groups of countries, the G7 (Canada, France, Germany, Italy, Japan, United Kingdom and the United States) group of low inflation industrialized countries and the BRICS (Brazil, Russia, India, China, and South Africa) group of relatively high inflation emerging countries, to examine the extent to which a one-to-one movement of stock returns and inflation relates to the country’s inflation rate and consumer price index. By using cointegration and vector error correction models, the results show that there is evidence of a long-run positive relationship in both G7 and BRICS countries. |
| doi_str_mv | 10.1007/s11293-017-9543-9 |
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| source | PAIS Index; SpringerNature Journals; EBSCOhost Business Source Complete |
| subjects | Analysis Brazil China Economic models Economics Economics and Finance Fisher effect Forecasts and trends Industrialized nations Inflation Inflation (Economics) International Economics Macroeconomics/Monetary Economics//Financial Economics Microeconomics Price indexes Public Finance Russia South Africa Stocks |
| title | Common Stocks and Inflation: An Empirical Analysis of G7 and BRICS |
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